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I would like to understand the definition of RSI in order to follow the
thread. Could you please explain what (up/down)(last x) means exactly and
what the "normal " definition of RSI is?
Thank you.
Al
----- Original Message -----
From: "server not recognized" <winchp@xxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, October 10, 2001 8:49 AM
Subject: Re: [amibroker] Re: Modified RSI
> Dimitri,
>
> What you describe is not what I meant.. The rsi formula
>
> rsi = 100-(100/(1+(up/down)).
>
> is the fundamental problem.
>
> As up tends to zero, up/down tends to zero and rsi tends to 0
> as down tends to zero, up/down tends to infinity and rsi tends to 1.
>
> The characteristic of these reciprocal type curves is long, unresponsive
tails that lead to the rsi being unresponsive as the
> numerator or denominator tends to zero. All the sensitivity is at the 50%
mark but you are trying to make decisions in the rapidly
> declining sensitivty region.
>
> I suggest the nicety of limit bands be discarded entirely and the rsi be
structered as something else entirely, so that:
>
> it has no limits,
> crosses zero
> and can be equally positive and negative.
>
> For example, and I make this up in my head without checking first,
>
> modrsi = up(last 4)/down (last15) - down(last4)/up(last15)
>
> or closer to the original which I think will tone it down some. (if not
reverse the order - put the last14/last3)
>
> modrsi = 100-(100/(1+(up/down)(last3)/(up/down)(last14))).
>
> I am suggesting to be radical and not simply rearrage or blend outcomes
from various established indicators, but break them open
> completely an re-cast their principles.
>
> P
>
>
> ----- Original Message -----
> From: "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Wednesday, October 10, 2001 3:55 PM
> Subject: [amibroker] Re: Modified RSI
>
>
> > I have always the alternative of Normalization, exposed here in some
> > earlier post, ie
> > NormRSI=100*(RSI-RSImin)//RSImax-RSImin)
> > which fit better in [0,100] band.
> > I think that this new idea of Modified RSI is a better approach.
> > I will revert after more tests.
> > Thank you for hint.
> > Dimitris Tsokakis
> > --- In amibroker@xxxx, "server not recognized" <winchp@xxxx> wrote:
> > > Dimitri,
> > >
> > > Constance Brown in her book "Technical Analysis for the Trading
> > Professional", advocates that the 30/70 is not appropriate as
> > > constants, and should be modified depending upon recent history.
> > For example after an RSI > 70 period then a decline to 40 is
> > > significant and vice versa, i.e 30/70 shpould be applied with
> > judgement.
> > >
> > > Secondly the non zeroing of RSI and its lack of sensitivity beyond
> > the 70/30 is a fault with its ideal of normalising. Constances
> > > suggested opened the door to eve better understanding for me. I
> > would suggest that rather than using the RSI() supplied that you
> > > play around with actual formula and try and achieve the following:
> > >
> > > no upper/lower limit,
> > > able to cross zero
> > > can have negative numbers
> > >
> > > I have done this with ADX with some satisfaction. I would also
> > suggest that additonal terms can be included inside the RSI formula
> > > to increase sensivity to certain events when they are present. I
> > would also suggest that where ever possible ema and ma not be used
> > > except when trying to establish long term baselines. You may not
> > like the jerkiness without them, but the peak values take on
> > > significance in magnitude and timing after you use the
> > reconstructed formulas that ema and ma do their best to blurr.
> > >
> > > Both RSI() and ADX() in my view are horses of different colours
> > because both are associated with volatility breakout. The results of
> > > one are similar to the other.
> > >
> > > I hope this helps with your search.
> > >
> > > P
> >
> >
> >
> >
> >
> > Your use of Yahoo! Groups is subject to
http://docs.yahoo.com/info/terms/
> >
> >
> >
>
>
>
>
>
> Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
>
>
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